English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

In this paper, we study the numerical method for stochastic optimal controlproblems (SOCPs). By reducing the optimal control problem to the discrete case,we derive a discrete stochastic maximum principle (SMP). With the help of thisSMP, we propose an effective discrete recursive method for SOCPs with feedbackcontrol. We rigorously analyze errors of the proposed method and prove that thecost obtained by our method is of first-order convergence. Numericalexperiments are carried out to support our theoretical results.

An Effective Discrete Recursive Method for Stochastic Optimal Control Problems